Risk premia in the term structure of crude oil futures: long-run and short-run volatility components
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-021-01032-w.pdf
Reference39 articles.
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2. Adrian T, Rosenberg J (2008) Stock returns and volatility: pricing the short-run and long-run components of market risk. J Financ 63(6):2997–3030
3. Alizadeh S, Brandt MW, Diebold FX (2002) Range-based estimation of stochastic volatility models. J Financ 57(3):1047–1091
4. Baur DG, Dimpfl T (2018) The asymmetric return-volatility relationship of commodity prices. Energy Econ 76:378–387
5. Bessembinder H (1992) Systematic risk, hedging pressure, and risk premiums in futures markets. Rev Financ Stud 5(4):637–667
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The Impact of COVID-19 on the Volatility of Copper Futures;Economies;2023-07-24
2. Correction to: Risk premia in the term structure of crude oil futures: long‑run and short‑run volatility components;Review of Quantitative Finance and Accounting;2022-03-01
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